Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0077
Annualized Std Dev 0.2276
Annualized Sharpe (Rf=0%) 0.0339

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.2095
Quartile 1 -0.0048
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0055
Maximum 0.2757
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0143
Skewness 1.1478
Kurtosis 75.1777

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0121
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0101
Downside Deviation (0%) 0.0101
Maximum Drawdown 0.6263
Historical VaR (95%) -0.0168
Historical ES (95%) -0.0322
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2020-02-21 2020-03-23 NA -0.6263 273 22 NA
2005-07-13 2009-03-09 2011-05-31 -0.6010 1482 920 562
1999-01-20 1999-12-22 2005-01-25 -0.2932 1512 235 1277
2012-07-02 2013-12-13 2016-04-06 -0.2604 946 366 580
2016-08-01 2018-12-20 2019-09-05 -0.2491 780 603 177

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.5 2.2 -0.6 -0.6 -0.6 -0.6 -0.6 0.6 0 0.6 0 2.9 4
2000 0 0 -0.7 1.3 0 -1.3 0 1.2 -0.6 0.6 0.6 0.6 1.8
2001 0.1 1 0 1.2 0.2 0 -0.1 0.3 0.5 1.1 0 0.8 5.2
2002 0.4 0.5 1.1 -0.1 0 0.5 1.5 1 1.2 0.9 1.7 1.6 10.7
2003 -1.7 0.5 -1.3 -0.3 -1 0 -0.9 1.7 1.1 0.8 -1.8 -1 -3.7
2004 -0.8 0.6 -0.6 -1 1.5 0 0.8 0.6 0 0.2 0.8 0.1 2.1
2005 -1.6 -0.2 -0.1 -0.8 1.1 0.7 0.5 0.3 -0.6 -0.6 -0.3 0 -1.5
2006 -0.7 0.7 -2.2 0 1.7 0.5 0.4 0.9 0.2 -0.1 -0.4 0.6 1.5
2007 0 -0.5 -0.1 0 0.1 1 -0.8 1 0.6 -1.5 0.8 1.2 1.8
2008 1 -1.1 3.2 0.2 0.2 -0.4 -0.6 -0.5 0.9 3.1 -2.5 3.6 7.2
2009 -1.9 -1.1 1.4 1.7 4 -0.1 0.1 -1.6 -2.4 -1.7 1.2 -0.4 -1
2010 0.4 0.6 0.6 -0.2 -1 0.3 0 0.6 0.6 -0.4 -0.2 0.9 2.2
2011 0.6 -1.4 0.2 0.3 -0.2 0.1 4.5 -0.2 -0.5 -0.2 0.2 2.6 6
2012 -0.4 0.4 0.3 0.9 -1.3 9.1 -0.3 0 0.2 -0.1 0.5 1.4 10.8
2013 -0.1 0.6 0.8 -0.2 -2.6 -0.2 -0.5 0.2 0.1 -0.2 -0.2 -0.2 -2.3
2014 0.5 -0.2 0 0.4 0.1 -0.2 0.1 0.7 0.3 0.4 -0.6 -0.5 1.1
2015 0.7 -0.1 0.6 -0.1 -0.2 -0.4 0.7 -0.7 0.6 1.2 1 0.7 4.1
2016 0.5 0.6 0.4 0.1 1.1 1.8 -0.3 -0.6 0.6 -1.2 -1.4 0.3 2
2017 -0.2 -0.1 -0.1 -1 0.7 0.1 0.9 0.3 0.6 0.1 0.2 0.2 1.7
2018 -1.5 -0.2 1 0 -0.1 0.9 0.1 0.2 -0.6 0.3 1.1 -0.4 0.7
2019 -0.6 -0.1 -0.6 -0.2 -1 0.2 0.8 -0.1 0.4 -0.2 0.4 0.9 0
2020 -0.3 -6.9 -13.3 -5.7 2.3 1.6 1 -1.1 0.5 0.9 -0.5 1.4 -19.4
2021 0.4 -0.4 0.6 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  11.9 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  11.9 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  11.9 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  11.8 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  11.8 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  11.8 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart